文章基本信息

标题：Modeling Pork Supply Response and Price Volatility: The Case of Greece
本地全文：下载
作者：Rezitis, Anthony N. ; Stavropoulos, Konstantinos S.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2009
卷号：40
期号：4
页码：145-162
出版社：Food Distribution Research Society
摘要：This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate that among the estimated GARCH models, the quadratic NAGARCH model seems to better describe producers’ price volatility, which was found to be an important risk factor of the supply response function of the Greek pork market. Furthermore, the empirical findings show that feed price is an important cost factor of the supply response function and that high uncertainty restricts the expansion of the Greek pork sector. Finally, the model provides forecasts for quantity supplied, producers’ price, and price volatility.
关键词：asymmetry;GARCH;pork supply;price volatility